More density stuff

MeasureTheory has these tests:
```julia

@testset "Density measures and Radon-Nikodym" begin
x = randn()
let d = ∫(𝒹(Cauchy(), Normal()), Normal())
@test logdensity_rel(d, Cauchy(), x) ≈ 0 atol = 1e-12
end

let f = 𝒹(∫(x -> x^2, Normal()), Normal())
@test f(x) ≈ x^2
end

let d = ∫exp(log𝒹(Cauchy(), Normal()), Normal())
@test logdensity_rel(d, Cauchy(), x) ≈ 0 atol=1e-12
end

let f = log𝒹(∫exp(x -> x^2, Normal()), Normal())
@test f(x) ≈ x^2
end
end
```

The ones with `let f` pass just fine. But the `let d` ones fail. It seems like it's still kind of messy. What's the best way to get this working?